Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 29 (3D) Dec 30 (4D) Dec 31 (5D) Jan 01 (6D) Jan 02 (7D) Jan 05 (10D) Jan 06 (11D) Jan 07 (12D) Jan 08 (13D) Jan 09 (14D) Jan 16 (21D) Jan 23 (28D) Jan 30 (35D) Feb 06 (42D) Feb 13 (49D) Feb 20 (56D) Feb 27 (63D) Mar 06 (70D) Mar 13 (77D) Mar 20 (84D) Mar 27 (91D)
lower 681.770 680.459 679.305 678.261 677.301 674.774 674.019 673.297 672.605 671.940 667.826 664.358 661.303 658.540 656.000 653.636 651.415 649.315 647.317 645.409 643.578
upper 698.716 700.027 701.182 702.226 703.186 705.713 706.468 707.189 707.881 708.547 712.661 716.129 719.184 721.946 724.486 726.851 729.071 731.171 733.169 735.078 736.909
expected move 8.473 9.784 10.939 11.983 12.943 15.469 16.224 16.946 17.638 18.304 22.417 25.885 28.941 31.703 34.243 36.607 38.828 40.928 42.926 44.835 46.665
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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